This invention relates to method and system for extraction of some data pieces from many time series data pieces or extraction of a combination of data pieces. For example, method and system of the present invention make it possible to solve a problem such as a stock portfolio selection problem in which a small number of desirable issues having less risk and more return are to be selected from many issues.
Conventionally, a method of determining an optimum combination from many combinations is described in Biological Cybernetics 52, pp. 141-152, 1985 and Simulated Annealing. Theory and Applications, pp. 7-15, D. Reidel Publishing Company, 1987.
However, the above literatures do not discuss the specific manner of combining issues and selecting and preparing, from many combinations of issues, a small number of issues consisting of stocks having more returns and less risk, and a bond portfolio (a combination of stocks and bonds).